Evaluating Alternative Methods of Forecasting House Prices: A Post-Crisis Reassessment
This paper compares the performance of different forecasting models of California house prices. Multivariate, theory-driven models are able to outperform a theoretical time series models across a battery of forecast comparison measures. Error correction models were best able to predict the turning point in the housing market, whereas univariate models were not. Similarly, even after the turning point occurred, error correction models were still able to outperform univariate models based on MSFE, bias, and forecast encompassing statistics and tests. These results highlight the importance of incorporating theoretical economic relationships into empirical forecasting models.
|Date of creation:||Dec 2010|
|Date of revision:||Feb 2011|
|Contact details of provider:|| Postal: Monroe Hall #340, 2115 G Street, NW, Washington, DC 20052|
Phone: (202) 994-6150
Fax: (202) 994-6147
Web page: https://www2.gwu.edu/~forcpgm
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Anthony Pennington-Cross, 2005.
"Aggregation bias and the repeat sales price index,"
BIS Papers chapters,
in: Bank for International Settlements (ed.), Real estate indicators and financial stability, volume 21, pages 323-335
Bank for International Settlements.
When requesting a correction, please mention this item's handle: RePEc:gwc:wpaper:2010-004. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tara M. Sinclair)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.